A Semi-Parametric Factor Model for Interest Rates.
Autoria(s):
Ghysels, E.; Ng, S.
Data(s)
24/01/2008
24/01/2008
1996
Resumo
Understanding the dynamics of interest rates and the term structure has important implications for issues as diverse as real economic activity, monetary policy, pricing of interest rate derivative securities and public debt financing. Our paper follows a longstanding tradition of using factor models of interest rates but proposes a semi-parametric procedure to model interest rates.
Formato
1428330 bytes
application/pdf
Identificador
Ghysels, E. et Ng, S., «A Semi-Parametric Factor Model for Interest Rates.», Cahier de recherche #9612, Département de sciences économiques, Université de Montréal, 1996, 27 pages.
